I recently became aware that through the thinkorswim trading platform, it is possible to extract the trade data out via the RTD function in excel. What I've found interesting is that a record of all of the Last Trade Prices and Trade Sizes, is that something doesn't add up... literally. I've gone into the VB code and reduced the throttle interval so that the RTD function will report data in realtime to excel and I've written the code necessary to record such updates. The problem I'm having is that the change in overall volume at times does not match the trade that occurred. For example Volume might be at 100,000 and a trade for 500 shares goes through and volume changed to 100,750. Many of the trades recorded are accurately reflected however not all. Any thoughts on what might be causing the discrepancy?
Submitted January 26, 2018 at 07:52AM by jpoms13 http://ift.tt/2DEC5Tj
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